household exposure to idiosyncratic risk, and increases the conditional market price of risk. This collateral mechanism can …In a model with housing collateral, a decrease in house prices reduces the collateral value of housing, increases …. The increase of the conditional equity premium and Sharpe ratio when collateral is scarce in the model matches the …

In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of … asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household … exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the US, we find …

When limited commitment hinders unsecured credit, assets help by serving as collateral. We study models where assets …-pricing theory, is calibrated to analyze the effects of monetary policy and financial innovation. We show that inflation can raise …

Treasuries is high, a financial crisis is more likely. The central bank's open market operations affect the quality of collateral … into a system with significant amounts of wholesale short-term debt that relies on collateral, and in particular Treasuries …, which have a convenience yield. In the new economy the quality of collateral matters: when Treasuries are scarce, the …

-term safe assets are money or money-like. A long-term safe asset can store value over time or be used as collateral. Human …

total assets, the shares of each agent in equity ownership and wealth, and the rates of return on safe and risky assets. In … leads to an extended period in which the share of wealth held by the low-risk-averse agent and the risk-free rate are low …

We construct a two-country New Keynesian model in which US government debt has an advantage as a superior collateral … collateral. In times of global stress, the dollar appreciates and the "convenience yield" earned by U.S. government bonds …